Random primal-dual proximal iterations for sparse multiclass SVM

International audienceSparsity-inducing penalties are useful tools in variational methods for machine learning. In this paper, we propose two block-coordinate descent strategies for learning a sparse multiclass support vector machine. The first one works by selecting a subset of features to be updated at each iteration, while the second one performs the selection among the training samples. These algorithms can be efficiently implemented thanks to the flexibility offered by recent randomized primal-dual proximal methods. Experiments carried out for the supervised classification of handwritten digits demonstrate the interest of considering the primal-dual approach in the context of block-coordinate descent, and the efficiency of the proposed algorithms is assessed through a comparison of execution times and classification errors. Index Terms— Sparsity, multiclass SVM, proximal algorithm, random update, block-coordinate descent